With WordPress there are many options as to how to embed the games in your site.  Most of the usual installation techniques will work with WordPress.  The main trick is that you need to work in HTML mode, so that WordPress doesn't mess with your tags.

Installing on WordPress

For this example we will refer to My Coloring Book, but the techniques are much the same for other games.

Step 1: Install My Coloring Book (or other game)

You need to install the software to your site, just as with any other kind of site.  If you have WordPress set up in a subdirectory you may choose to install the game folder below that, or you may choose to install it at the root level.

Step 2: Add a Page to WordPress

1. Login to WordPress.
2. Add a page that will include the coloring book.
3. Switch to HTML mode.
4. Enter the following code...
   

   <iframe width="640" height="550" src="/mcb/mcb.html#b=book1.xml"></iframe>

5. Save the page.

The url that you enter at step 4 will depend on where you have installed the game.  You can also play around with the width and height to suit your site.

Don't switch to Visual mode.  WordPress doesn't understand iframes and you will lose your code.